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Recent content by jjtejadad

  1. J

    Yield Volatility

    Thanks David! This really answers my question. And thanks for the excellent study material on your webpage!
  2. J

    Yield Volatility

    Hi, When we are calculating the parametric VaR for a Bond we use the volatility of the Yield and the DV01. My confussion is about the volatility of the Yield, should I use the standard deviation of the Yield or the standard deviation of the daily % change in the yield. If i use the daily %...